Statistical properties of large data sets with linear latent features

Philipp Fleig; Ilya Nemenman

doi:10.1103/physreve.106.014102

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arXiv · 2111.04641

Statistical properties of large data sets with linear latent features

Philipp Fleig·Ilya Nemenman

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Abstract

Analytical understanding of how low-dimensional latent features reveal themselves in large-dimensional data is still lacking. We study this by defining a linear latent feature model with additive noise constructed from probabilistic matrices, and analytically and numerically computing the statistical distributions of pairwise correlations and eigenvalues of the correlation matrix. This allows us to resolve the latent feature structure across a wide range of data regimes set by the number of recorded variables, observations, latent features and the signal-to-noise ratio. We find a characteristic imprint of latent features in the distribution of correlations and eigenvalues and provide an analytic estimate for the boundary between signal and noise even in the absence of a clear spectral gap.

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Philipp Fleig, Ilya Nemenman. 2021-11-08. Statistical properties of large data sets with linear latent features. https://doi.org/10.1103/physreve.106.014102

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